Aug 2026· Finance & Economics· Vol 4, pp. 10962· 0 citations· 5 references
Abstract
This paper selects the data of Bitcoin, Gold, and the S&P 500 index from 2018 to 2025, utilizing GARCH(1,1) and DCC-GARCH models to depict the dynamic conditional correlations among assets. By incorporating the Global Geopolitical Risk Index, the 10-year breakeven inflation rate, and the VIX panic index, it constructs daily and monthly cross-frequency regression models to examine their macro-driving mechanisms. The results show that whether at the high-frequency daily level or the smoothed monthly level, macroeconomic variables exhibit extremely significant driving effects on the co-movement of Bitcoin. Under the liquidity squeeze concerns triggered by intensified global panic or high inflation expectations, Bitcoin fails to act as a haven alongside gold. Instead, it exhibits a stronger synchronous crash with the US stock market. This empirical study rejects the hypothesis of Bitcoin as "digital gold," revealing its essence as a "risk amplifier" highly dependent on traditional liquidity, and provides quantitative support for international investors in asset allocation under extreme macroeconomic scenarios.
This study investigates the dynamic connectedness, volatility dynamics and hedging effectiveness between the Indian stock market and cryptocurrencies using daily data from March 10, 2015, to July 4, 2023. Unlike prior studies, which examine either crisis or non-crisis periods in isolation, this paper is the first to co...
Susovon Jana, T. N. Sahu· Annals of Financial Economic...· 0 citations
This study examines how global shocks reshape cryptocurrency demand, with particular attention to the role of digital finance as an adaptive mechanism under conditions of crisis and financial restriction. Using daily data for Bitcoin and Ethereum from 2018 to 2024, we develop a unified empirical framework that combines...
Thu Vu Thi Minh, L. Ha, Dũng Đức Nguyễn et al.· Tạp chí Khoa học Đại học Côn...· 0 citations
It is demonstrated that cryptocurrency risk measurement requires asset-specific model selection based on both estimated loss magnitude and formal backtesting evidence, and substantial heterogeneity in cryptocurrency risk is revealed.
This paper investigates the dynamic relationship between macroeconomic factors—particularly Bitcoin pricing—and the equity returns of firms in the financial technology (FinTech) sector. Using a Structural Vector Autoregression (SVAR) framework with daily data from July 2013 to March 2025, the analysis examines how shoc...
Omar A. Esqueda, Mohammad Sharif Karimi, Daniel Perez Liston et al.· Applied Finance Letters· 0 citations
Stablecoins constitute the principal settlement instrument of cryptocurrency markets, raising the question of whether a broken peg conveys information to equity markets beyond the crypto sector. Building on multiple studies that have modelled cryptocurrency volatility spillovers into equity markets, this study focuses...
Krishna Gopal, Prasanth Pai· Journal of Commerce, Economi...· 0 citations
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